- On Computing a Cholesky Decomposition
- On Computing a Cholesky Decomposition
- ㆍ 저자명
- Park. Jong-Tae
- ㆍ 간행물명
- 한국통계학회 논문집
- ㆍ 권/호정보
- 1996년|3권 2호|pp.37-42 (6 pages)
- ㆍ 발행정보
- 한국통계학회
- ㆍ 파일정보
- 정기간행물|ENG| PDF텍스트
- ㆍ 주제분야
- 기타
이 논문은 한국과학기술정보연구원과 논문 연계를 통해 무료로 제공되는 원문입니다.
Maximum likelihood estimation of Cholesky decomposition is considered under normality assumption. It is shown that maximum liklihood estimation gives a Cholesky decomposition of the sample covariance matrix. The joint distribution of the maximum likelihood estimators is derived. The ussual algorithm for a Cholesky decomposition is shown to be equivalent to a maximumlikelihood estimation of a Cholesky root when the underlying distribution is a multivariate normal one.